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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March EuroFX(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   14 14 14 14 14 14 14 15 15 15 15
Closed Higher   6 6 7 6 8 8 8 8 9 6 9
Exceeded High   4 5 4 6 6 7 7 7 7 5 6
Scenario Percentage   67% 83% 57% 100% 75% 88% 88% 88% 78% 83% 67%
Avg Max Increase   4.98% 3.30% 3.62% 3.86% 3.47% 4.04% 4.21% 5.18% 3.23% 3.38% 2.28%
Max Increase   10.46% 8.80% 8.32% 6.26% 5.57% 7.34% 7.01% 9.97% 4.28% 7.05% 4.60%
Avg Days To Max Increase   16 11 19 18 15 20 16 15 9 12 12
Avg Max Decline   -0.03% -0.57% -1.04% -1.12% -0.58% -1.31% -0.81% -0.56% -1.67% -1.30% -0.70%
Max Decline   -0.08% -1.72% -1.86% -3.07% -2.62% -2.19% -2.30% -1.16% -3.70% -2.93% -1.23%
Avg Days to Max Decline   5 4 5 14 3 13 8 3 6 9 3
2013 Contract Condition       Yes   Yes Yes Yes Yes Yes Yes  
Action       No   Yes No Yes Yes Yes Yes  
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   14 14 14 14 14 14 14 15 15 15 15
Closed Lower   8 8 7 8 6 6 6 7 6 9 6
Penetrated Low   6 8 5 6 4 6 4 5 5 8 5
Scenario Percentage   75% 100% 71% 75% 67% 100% 67% 71% 83% 89% 83%
Avg Max Decline   5.09% 2.36% 2.76% 5.29% 6.62% 5.02% 3.20% 3.64% 4.05% 2.89% 2.03%
Max Decline   10.39% 3.49% 5.73% 10.70% 14.97% 12.74% 5.36% 6.10% 6.22% 5.23% 3.39%
Avg Days To Max Decline   11 11 13 13 17 18 12 22 14 5 9
Avg Max Increase   -0.78% -1.29% -0.25% -0.93% -0.96% -0.65% -0.66% -2.32% -1.61% -1.68% -0.41%
Max Increase   -2.10% -2.63% -2.07% -2.18% -1.99% -1.60% -1.26% -3.76% -2.80% -3.79% -1.59%
Avg Days to Max Increase   9 8 6 12 6 3 1 25 5 7 3
2013 Contract Condition   Yes Yes   Yes             Yes
Action   Yes Yes   No             Yes
High 133.76 133.63 132.85 127.49 126.99 126.27 131.88 131.55 130.43 133.21 135.98 137.15
Low 130.45 130.99 124.16 123.81 120.90 122.04 125.88 128.60 126.80 128.92 130.05 130.20
Close/Last 133.63 132.85 124.22 126.99 123.45 126.12 128.75 129.79 130.13 132.08 135.78 130.65

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